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Published work

33 published item(s)

preprint2026arXiv

Compositional Sparsity as an Inductive Bias for Neural Architecture Design

Identifying the structural priors that enable Deep Neural Networks (DNNs) to overcome the curse of dimensionality is a fundamental challenge in machine learning theory. Existing literature suggests that effective high-dimensional learning is driven by compositional sparsity, where target functions decompose into constituents supported on low-dimensional variable subsets. To investigate this hypothesis, we combine Information Filtering Networks (IFNs), which extract sparse dependency structures via constrained information maximisation, with Homological Neural Networks (HNNs), which map the inferred topology into fixed-wiring sparse neural graphs. We formalise the design principles underlying this construction and present an interpretable pipeline in which abstraction emerges through hierarchical composition. HNNs are orders of magnitude sparser than standard DNNs and require only minimal hyperparameter tuning. On synthetic tasks with known sparse hierarchies, HNNs recover the underlying compositional structure and remain stable in regimes where dense alternatives degrade as dimensionality increases. Across a broad suite of real-world datasets, HNNs consistently match or outperform dense baselines while using far fewer parameters, exhibiting lower variance and showing reduced sensitivity to hyperparameters.

preprint2026arXiv

Graph Regularized PCA

High-dimensional data often exhibit dependencies among variables that violate the isotropic-noise assumption under which principal component analysis (PCA) is optimal. For cases where the noise is not independent and identically distributed across features (i.e., the covariance is not spherical) we introduce Graph Regularized PCA (GR-PCA). It is a graph-based regularization of PCA that incorporates the dependency structure of the data features by learning a sparse precision graph and biasing loadings toward the low-frequency Fourier modes of the corresponding graph Laplacian. Consequently, high-frequency signals are suppressed, while graph-coherent low-frequency ones are preserved, yielding interpretable principal components aligned with conditional relationships. We evaluate GR-PCA on synthetic data spanning diverse graph topologies, signal-to-noise ratios, and sparsity levels. Compared to mainstream alternatives, it concentrates variance on the intended support, produces loadings with lower graph-Laplacian energy, and remains competitive in out-of-sample reconstruction. When high-frequency signals are present, the graph Laplacian penalty prevents overfitting, reducing the reconstruction accuracy but improving structural fidelity. The advantage over PCA is most pronounced when high-frequency signals are graph-correlated, whereas PCA remains competitive when such signals are nearly rotationally invariant. The procedure is simple to implement, modular with respect to the precision estimator, and scalable, providing a practical route to structure-aware dimensionality reduction that improves structural fidelity without sacrificing predictive performance.

preprint2022arXiv

Dynamic Portfolio Optimization with Inverse Covariance Clustering

Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to address this issue by using the Inverse Covariance Clustering (ICC) method to identify inherent market states and then integrate such states into a dynamic portfolio optimization process. Extensive experiments across three different markets, NASDAQ, FTSE and HS300, over a period of ten years, demonstrate the advantages of our proposed algorithm, termed Inverse Covariance Clustering-Portfolio Optimization (ICC-PO). The core of the ICC-PO methodology concerns the identification and clustering of market states from the analytics of past data and the forecasting of the future market state. It is therefore agnostic to the specific portfolio optimization method of choice. By applying the same portfolio optimization technique on a ICC temporal cluster, instead of the whole train period, we show that one can generate portfolios with substantially higher Sharpe Ratios, which are statistically more robust and resilient with great reductions in maximum loss in extreme situations. This is shown to be consistent across markets, periods, optimization methods and selection of portfolio assets.

preprint2022arXiv

Heterogenous criticality in high frequency finance: a phase transition in flash crashes

Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial markets is also a topic of great relevance that attracted increasing attention in recent years. In the present work we bridge the gap between these two topics with an in-depth investigation of the systemic risk structure of co-crashes in high frequency trading. We find that large co-crashes are systemic in their nature and differ from small crashes. We demonstrate that there is a phase transition between co-crashes of small and large sizes, where the former involves mostly illiquid stocks while large and liquid stocks are the most represented and central in the latter. This suggests that systemic effects and shock propagation might be triggered by simultaneous withdrawals or movement of liquidity by HFTs, arbitrageurs and market makers with cross-asset exposures.

preprint2022arXiv

Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series

We propose an end-to-end architecture for multivariate time-series prediction that integrates a spatial-temporal graph neural network with a matrix filtering module. This module generates filtered (inverse) correlation graphs from multivariate time series before inputting them into a GNN. In contrast with existing sparsification methods adopted in graph neural network, our model explicitly leverage time-series filtering to overcome the low signal-to-noise ratio typical of complex systems data. We present a set of experiments, where we predict future sales from a synthetic time-series sales dataset. The proposed spatial-temporal graph neural network displays superior performances with respect to baseline approaches, with no graphical information, and with fully connected, disconnected graphs and unfiltered graphs.

preprint2021arXiv

Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics

We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated from time-varying Kendall correlation matrices computed from stock prices log-returns over rolling windows with exponential smoothing. We observe long-memory processes in these structures in the form of power law decays in the number of persistent motifs. The decays then transition to a plateau regime with a power-law decay with smaller exponent. We demonstrate that identifying persistent motifs allows for forecasting and applications to portfolio diversification. Balanced portfolios are often constructed from the analysis of historic correlations, however not all past correlations are persistently reflected into the future. Sector neutrality has also been a central theme in portfolio diversification and systemic risk. We present an unsupervised technique to identify persistently correlated sets of stocks. These are empirically found to identify sectors driven by strong fundamentals. Applications of these findings are tested in two distinct ways on four different markets, resulting in significant reduction in portfolio volatility. A persistence-based measure for portfolio allocation is proposed and shown to outperform volatility weighting when tested out of sample.

preprint2020arXiv

Market structure dynamics during COVID-19 outbreak

In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analyzing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilization and recovery.

preprint2020arXiv

Simplicial persistence of financial markets: filtering, generative processes and portfolio risk

We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the number of persistent simplicial complexes. Null models of the underlying time series are tested to investigate properties of the generative process and its evolutional constraints. Networks are generated with both TMFG filtering technique and thresholding showing that embedding-based filtering methods (TMFG) are able to identify higher order structures throughout the market sample, where thresholding methods fail. The decay exponents of these long memory processes are used to characterise financial markets based on their stage of development and liquidity. We find that more liquid markets tend to have a slower persistence decay. This is in contrast with the common understanding that developed markets are more random. We find that they are indeed less predictable for what concerns the dynamics of each single variable but they are more predictable for what concerns the collective evolution of the variables. This could imply higher fragility to systemic shocks.

preprint2020arXiv

The cost of Bitcoin mining has never really increased

The Bitcoin network is burning a large amount of energy for mining. In this paper we estimate the lower bound for the global energy cost for a period of ten years from 2010, taking into account changing oil costs, improvements in hashing technologies and hashing activity. Despite a ten-billion-fold increase in hashing activity and a ten-million-fold increase in total energy consumption, we find the cost relative to the volume of transactions has not increased nor decreased since 2010. This is consistent with the perspective that, in order to keep a the Blockchain system secure from double spending attacks, the proof or work must cost a sizable fraction of the value that can be transferred through the network. We estimate that in the Bitcoin network this fraction is of the order of 1%.

preprint2020arXiv

Wisdom of Crowds Detects COVID-19 Severity Ahead of Officially Available Data

During the unfolding of a crisis, it is crucial to determine its severity, yet access to reliable data is challenging. We investigate the relation between geolocated Tweet Intensity of initial COVID-19 related tweet at the beginning of the pandemic across Italian, Spanish and USA regions and mortality in the region a month later. We find significant proportionality between early social media reaction and the cumulative number of COVID-19 deaths almost a month later. Our findings suggest that "the crowds" perceived the risk correctly. This is one of the few examples where the "wisdom of crowds" can be quantified and applied in practice. This can be used to create real-time alert systems that could be of help for crisis-management and intervention, especially in developing countries. Such systems could contribute to inform fast-response policy making at early stages of a crisis.

preprint2019arXiv

A Decentralised Digital Identity Architecture

Current architectures to validate, certify, and manage identity are based on centralised, top-down approaches that rely on trusted authorities and third-party operators. We approach the problem of digital identity starting from a human rights perspective, with a primary focus on identity systems in the developed world. We assert that individual persons must be allowed to manage their personal information in a multitude of different ways in different contexts and that to do so, each individual must be able to create multiple unrelated identities. Therefore, we first define a set of fundamental constraints that digital identity systems must satisfy to preserve and promote privacy as required for individual autonomy. With these constraints in mind, we then propose a decentralised, standards-based approach, using a combination of distributed ledger technology and thoughtful regulation, to facilitate many-to-many relationships among providers of key services. Our proposal for digital identity differs from others in its approach to trust in that we do not seek to bind credentials to each other or to a mutually trusted authority to achieve strong non-transferability. Because the system does not implicitly encourage its users to maintain a single aggregated identity that can potentially be constrained or reconstructed against their interests, individuals and organisations are free to embrace the system and share in its benefits.

preprint2016arXiv

A nonlinear impact: evidences of causal effects of social media on market prices

Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evidence that suggests social media and stock markets have a nonlinear causal relationship. We take advantage of an extensive data set composed of social media messages related to DJIA index components. By using information-theoretic measures to cope for possible nonlinear causal coupling between social media and stock markets systems, we point out stunning differences in the results with respect to linear coupling. Two main conclusions are drawn: First, social media significant causality on stocks' returns are purely nonlinear in most cases; Second, social media dominates the directional coupling with stock market, an effect not observable within linear modeling. Results also serve as empirical guidance on model adequacy in the investigation of sociotechnical and financial systems.

preprint2016arXiv

The multiplex dependency structure of financial markets

We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear, non-linear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.

preprint2016arXiv

What does past correlation structure tell us about the future? An answer from network filtering

We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the market volatility changes. In particular, we introduce a new measure, the "correlation structure persistence", that quantifies the rate of change of the market dependence structure. This measure shows a deep interplay with changes in volatility and we demonstrate it can anticipate market risk variations. Notably, our method overcomes the curse of dimensionality that limits the applicability of traditional econometric tools to portfolios made of a large number of assets. We report on forecasting performances and statistical significance of this tool for two different equity datasets. We also identify an optimal region of parameters in terms of True Positive and False Positive trade-off, through a ROC curve analysis. We find that our forecasting method is robust and it outperforms predictors based on past volatility only. Moreover the temporal analysis indicates that our method is able to adapt to abrupt changes in the market, such as financial crises, more rapidly than methods based on past volatility.

preprint2015arXiv

Anomalous volatility scaling in high frequency financial data

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using empirical mode decomposition (EMD), a method which separates time series into a set of cyclical components at different time-scales. By applying the EMD to fBm, we retrieve a scaling law that relates the variance of the components to a power law of the oscillating period. In contrast, when analysing 22 different stock market indices, we observe deviations from the fBm and Brownian motion scaling behaviour. We discuss and quantify these deviations, associating them to the characteristics of financial markets, with larger deviations corresponding to less developed markets.

preprint2015arXiv

Cell theory for glass-forming materials and jamming matter, combining free volume and cooperative rearranging regions

We investigate the statistical mechanics of glass-forming materials and jamming matter by means of a geometrically driven approach based on a revised cell theory. By considering the system as constituted of jammed blocks of increasing sizes, we obtain a unified picture that describes accurately the whole process from low densities to limit densities at the glass/jamming transition. The approach retrieves many of the aspects of existing theories unifying them into a coherent framework. In particular, at low densities we find a free volume regime, based on local relaxation process, at intermediate densities a cooperative length sets in, where both local and cooperative relaxation process are present. At even higher densities the increasing cooperative length suppresses the local relaxation and only the cooperative relaxation survives characterized by the divergence of the cooperative length, as suggested by the random first order theory. Finally a relation between the cooperative length and the hyperuniform length is also suggested.

preprint2015arXiv

In Quest of Significance: Identifying Types of Twitter Sentiment Events that Predict Spikes in Sales

We study the power of Twitter events to predict consumer sales events by analysing sales for 75 companies from the retail sector and over 150 million tweets mentioning those companies along with their sentiment. We suggest an approach for events identification on Twitter extending existing methodologies of event study. We also propose a robust method for clustering Twitter events into different types based on their shape, which captures the varying dynamics of information propagation through the social network. We provide empirical evidence that through events differentiation based on their shape we can clearly identify types of Twitter events that have a more significant power to predict spikes in sales than the aggregated Twitter signal.

preprint2015arXiv

Measuring multiscaling in financial time-series

We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range [2,5]. We discuss the right aggregation horizon to mitigate this bias.

preprint2015arXiv

Multi-scaling of wholesale electricity prices

We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion, as they show multi-scaling, high Hurst exponents and sharp price movements. We use the generalized Hurst exponent (GHE, $H(q)$) to show that although these time-series have strong cyclical components, the fluctuations exhibit persistent behaviour, i.e., $H(q)>0.5$. We investigate the effectiveness of the GHE as a predictive tool in a simple linear forecasting model, and study the forecast error as a function of $H(q)$, with $q=1$ and $q=2$. Our results suggest that the GHE can be used as prediction tool for these time series when the Hurst exponent is dynamically evaluated on rolling time windows of size $\approx 50 - 100$ hours. These results are also compared to the case in which the cyclical components have been subtracted from the time series, showing the importance of cyclicality in the prediction power of the Hurst exponent.

preprint2015arXiv

Network Filtering for Big Data: Triangulated Maximally Filtered Graph

We propose a network-filtering method, the Triangulated Maximally Filtered Graph (TMFG), that provides an approximate solution to the Weighted Maximal Planar Graph problem. The underlying idea of TMFG consists in building a triangulation that maximizes a score function associated with the amount of information retained by the network. TMFG uses as weights any arbitrary similarity measure to arrange data into a meaningful network structure that can be used for clustering, community detection and modeling. The method is fast, adaptable and scalable to very large datasets, it allows online updating and learning as new data can be inserted and deleted with combinations of local and non-local moves. TMFG permits readjustments of the network in consequence of changes in the strength of the similarity measure. The method is based on local topological moves and can therefore take advantage of parallel and GPUs computing. We discuss how this network-filtering method can be used intuitively and efficiently for big data studies and its significance from an information-theoretic perspective.

preprint2015arXiv

Time-dependent scaling patterns in high frequency financial data

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices of various stock indices. Our results reveal intraday trends where different time-horizons contribute with variable relative amplitudes over the course of the trading day. Our findings indicate that the time series we analysed have a non-stationary multifractal nature with predominantly persistent behaviour at the middle of the trading session and anti-persistent behaviour at the open and close. We demonstrate that these deviations are statistically significant and robust.

preprint2014arXiv

Measures of Causality in Complex Datasets with application to financial data

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and the Hilbert--Schmidt norm of the cross-covariance operator) and transfer entropy, examining each method and comparing their theoretical properties, with special attention given to the ability to capture nonlinear causality. We also present the theoretical benefits of applying non-symmetrical measures rather than symmetrical measures of dependence. We apply the measures to a range of simulated and real data. The simulated data sets were generated with linear and several types of nonlinear dependence, using bivariate, as well as multivariate settings. An application to real-world financial data highlights the practical difficulties, as well as the potential of the methods. We use two real data sets: (1) U.S. inflation and one-month Libor; (2) S$\&$P data and exchange rates for the following currencies: AUDJPY, CADJPY, NZDJPY, AUDCHF, CADCHF, NZDCHF. Overall, we reach the conclusion that no single method can be recognised as the best in all circumstances, and each of the methods has its domain of best applicability. We also highlight areas for improvement and future research.

preprint2014arXiv

Risk diversification: a study of persistence with a filtered correlation-network approach

The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build dynamically Planar Maximally Filtered Graphs from the correlation structure over a rolling window and we study the persistence of the associated Directed Bubble Hierarchical Tree (DBHT) clustering structure. We observe that the DBHT clustering structure is quite stable during the early 2000' becoming gradually less persistent before the unfolding of the 2007-2008 crisis. The correlation structure eventually recovers persistence in the aftermath of the crisis settling up a new phase, distinct from the pre-cysts structure, where the market structure is less related to industrial sector activity. Notably, we observe that - presently - the correlation structure is loosing again persistence indicating the building-up of another, different, phase. Such dynamical changes in persistence and their occurrence at the unfolding of financial crises rises concerns about the effectiveness of correlation-based portfolio management tools for risk diversification.

preprint2014arXiv

Systemic Losses Due to Counter Party Risk in a Stylized Banking System

We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to distressed whenever its liabilities are larger than the banks' assets. The banks are connected through an interbank lending network and, whenever a bank is distressed, its creditor cannot expect the loan from the distressed bank to be repaid, potentially becoming distressed themselves. We solve the problem analytically for a homogeneous system and test the robustness and generality of the results with simulations of more complex systems. We investigate the parameter space and the corresponding distribution of operating banks mapping the conditions under which the whole system is stable or unstable. This allows us to determine how financial stability of a banking system is influenced by regulatory decisions, such as leverage; we discuss the effect of central bank actions, such as quantitative easing and we determine the cost of rescuing a distressed banking system using re-capitalisation. Finally, we estimate the stability of the UK and US banking systems in the years 2007 and 2012 showing that both banking systems were more unstable in 2007 and connectedness on the interbank market partly caused the banking crisis.

preprint2013arXiv

Dependency Structure and Scaling Properties of Financial Time Series Are Related

We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be positively correlated to their depth in the hierarchy of cross-correlations. We propose a dynamical model that reproduces this observation along with an array of other empirical properties. The structure of this model is such that the hierarchical structure of heterogeneous risks plays a crucial role in the time evolution of the correlation matrix, providing an interpretation to the mechanism behind the interplay between cross-correlation and multifractality in financial markets, where the degree of multifractality of stocks is associated to their hierarchical positioning in the cross-correlation structure. Empirical observations reported in this paper present a new perspective towards the merging of univariate multi scaling and multivariate cross-correlation properties of financial time series.

preprint2013arXiv

Graph theory enables drug repurposing. How a mathematical model can drive the discovery of hidden Mechanisms of Action

We introduced a methodology to efficiently exploit natural-language expressed biomedical knowledge for repurposing existing drugs towards diseases for which they were not initially intended. Leveraging on developments in Computational Linguistics and Graph Theory, a methodology is defined to build a graph representation of knowledge, which is automatically analysed to discover hidden relations between any drug and any disease: these relations are specific paths among the biomedical entities of the graph, representing possible Modes of Action for any given pharmacological compound. These paths are ranked according to their relevance, exploiting a measure induced by a stochastic process defined on the graph. Here we show, providing real-world examples, how the method successfully retrieves known pathophysiological Mode of Actions and finds new ones by meaningfully selecting and aggregating contributions from known bio-molecular interactions. Applications of this methodology are presented, and prove the efficacy of the method for selecting drugs as treatment options for rare diseases.

preprint2013arXiv

Non stationary multifractality in stock returns

We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via Multifractal Random Walk (MRW) by Bacry \textit{et al.} [\textit{E.Bacry, J.Delour and J.Muzy, Phys.Rev.E \,{\bf 64} 026103, 2001}]. While dynamical wGHE computed on synthetic MRW series is consistent with a scenario where multifractality is constant over time, fluctuations in the dynamical wGHE observed in empirical data are not in agreement with a MRW with constant intermittency parameter. We test these hypotheses of constant multifractality considering different specifications of MRW model with fatter tails: in all cases considered, although the thickness of the tails accounts for most of anomalous fluctuations of multifractality, still cannot fully explain the observed fluctuations.

preprint2012arXiv

Exploring complex networks via topological embedding on surfaces

We demonstrate that graphs embedded on surfaces are a powerful and practical tool to generate, characterize and simulate networks with a broad range of properties. Remarkably, the study of topologically embedded graphs is non-restrictive because any network can be embedded on a surface with sufficiently high genus. The local properties of the network are affected by the surface genus which, for example, produces significant changes in the degree distribution and in the clustering coefficient. The global properties of the graph are also strongly affected by the surface genus which is constraining the degree of interwoveness, changing the scaling properties from large-world-kind (small genus) to small- and ultra-small-world-kind (large genus). Two elementary moves allow the exploration of all networks embeddable on a given surface and naturally introduce a tool to develop a statistical mechanics description. Within such a framework, we study the properties of topologically-embedded graphs at high and low `temperatures' observing the formation of increasingly regular structures by cooling the system. We show that the cooling dynamics is strongly affected by the surface genus with the manifestation of a glassy-like freezing transitions occurring when the amount of topological disorder is low.

preprint2012arXiv

Understanding the source of multifractality in financial markets

In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal (MSM) model, autoregressive fractionally integrated moving average (ARFIMA) processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the characteristic fat-tailed distribution of the returns and time-correlations have the effect to decrease the measured multifractality.

preprint2011arXiv

Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series

We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show a neat increase with time of the generalized Hurst exponent in the period preceding the unfolding of the crisis. Conversely, firms belonging to other market sectors, which suffered the least throughout the crisis, show opposite behaviors. These findings suggest the possibility of using the scaling behavior as a tool to track the level of stability of a firm. In this paper, we introduce a method to compute the generalized Hurst exponent which assigns larger weights to more recent events with respect to older ones. In this way large fluctuations in the remote past are less likely to influence the recent past. We also investigate the scaling associated with the tails of the log-returns distributions and compare this scaling with the scaling associated with the Hurst exponent, observing that the processes underlying the price dynamics of these firms are truly multi-scaling.

preprint2011arXiv

Hierarchical information clustering by means of topologically embedded graphs

We introduce a graph-theoretic approach to extract clusters and hierarchies in complex data-sets in an unsupervised and deterministic manner, without the use of any prior information. This is achieved by building topologically embedded networks containing the subset of most significant links and analyzing the network structure. For a planar embedding, this method provides both the intra-cluster hierarchy, which describes the way clusters are composed, and the inter-cluster hierarchy which describes how clusters gather together. We discuss performance, robustness and reliability of this method by first investigating several artificial data-sets, finding that it can outperform significantly other established approaches. Then we show that our method can successfully differentiate meaningful clusters and hierarchies in a variety of real data-sets. In particular, we find that the application to gene expression patterns of lymphoma samples uncovers biologically significant groups of genes which play key-roles in diagnosis, prognosis and treatment of some of the most relevant human lymphoid malignancies.

preprint2010arXiv

Combining tomographic imaging and DEM simulations to investigate the structure of experimental sphere packings

We combine advanced image reconstruction techniques from computed X-ray micro tomography (XCT) with state-of-the-art discrete element method simulations (DEM) to study granular materials. This "virtual-laboratory" platform allows us to access quantities, such as frictional forces, which would be otherwise experimentally immeasurable.

preprint2009arXiv

Nested hierarchies in planar graphs

We construct a partial order relation which acts on the set of 3-cliques of a maximal planar graph G and defines a unique hierarchy. We demonstrate that G is the union of a set of special subgraphs, named `bubbles', that are themselves maximal planar graphs. The graph G is retrieved by connecting these bubbles in a tree structure where neighboring bubbles are joined together by a 3-clique. Bubbles naturally provide the subdivision of G into communities and the tree structure defines the hierarchical relations between these communities.